Re: [Gretl-devel] Special restriction syntax in VECM doesn't work anymore

Am 09.02.2016 um 19:26 schrieb Sven Schreiber: > Am 09.02.2016 um 18:47 schrieb Allin Cottrell: >>>> 1. Is cols(R) equal to the total number of elements of beta and alpha >>>> ("gmax"), in the system? In this case the answer is No, since cols(R) = >>>> 20 and gmax = 40. >>>> 2. If No, is cols(R) equal to the number of beta rows (here, 5)? No >>>> again, so fail. > Well, I'm simply looking at equ. (27.5), where cols(R) must be equal to > the rows of vec(beta), full stop. And except for the special case r==1 > (and leaving aside the possibility of an extended beta^* with restricted > deterministic and exogenous terms) this cannot be equal to n (rows of > beta). >> I'll have to think about this some more, but I believe it's check number >> 1 (or gateway #1) that should be removed. > > As I have explained above, at the moment I would think the only > meaningful check is cols(R)==rows(vec(beta)), but I may be missing > something. Whatever happened to this? In one message you said that you would insert in git this last check. (Not covering the case of restricted exogenous terms for the moment.) I'm assuming that's done. To sum up, my suggestion would then be: 1. Remove the check No. 1 above, because as per the spec restrictions on alpha are not covered here. 2. Remove the check No. 2, too, because for simplicity I think the spec for this special restriction interface should not provide extra ways for common restrictions on all CI relations. (If such a common restriction is wanted, I'd say it has to be spelt out explicitly in this framework.) 3. Document in the guide that this restriction interface so far does not allow restricting coefficients of exogenous terms. Introduce a note in the source (and possibly in the issue tracker) that this feature should be added. Or do you want to tackle the last thing right now?